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A polynomial optimization approach to constant rebalanced portfolio selection

Takano,Y.
; 
Sotirov,R.
Abstract
We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled by any of known polynomial optimization solvers.
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Appeared earlier as CentER Discussion Paper 2010-114
Date
2012
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Tilburg University Research Output Collection
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Takano, Y & Sotirov, R 2012, 'A polynomial optimization approach to constant rebalanced portfolio selection', Computational Optimization and Applications, vol. 52, no. 3, pp. 645-666. https://doi.org/10.1007/s10589-011-9436-9
URI
https://hdl.handle.net/20.500.14602/56282
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